Nothing Special   »   [go: up one dir, main page]

create a website
The Impact of Oil Price Volatility to Oil and Gas Company Stock Returns and Emerging Economies. (2018). Ulusoy, Veysel ; Ozdurak, Caner .
In: International Journal of Energy Economics and Policy.
RePEc:eco:journ2:2018-01-18.

Full description at Econpapers || Download paper

Cited: 6

Citations received by this document

Cites: 32

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Commodity exposure in the eurozone: How EU energy security is conditioned by the Euro. (2023). Martinez-Salgueiro, Andrea ; Vivel-Bua, Milagros ; de Llano-Paz, Fernando ; Lado-Sestayo, Ruben.
    In: Energy.
    RePEc:eee:energy:v:277:y:2023:i:c:s0360544223009222.

    Full description at Econpapers || Download paper

  2. On the volatility of daily stock returns of Total Nigeria Plc: evidence from GARCH models, value-at-risk and backtesting. (2020). ADENOMON, MONDAY ; Nweze, Nwaze Obini ; Emenogu, Ngozi G.
    In: Financial Innovation.
    RePEc:spr:fininn:v:6:y:2020:i:1:d:10.1186_s40854-020-00178-1.

    Full description at Econpapers || Download paper

  3. Do Oil and Gas Risk Factors Matter in the Malaysian Oil and Gas Industry? A Fama-MacBeth Two Stage Panel Regression Approach. (2020). Hoque, Mohmmad Enamul ; Low, Soo Wah ; Shah, Mohd Azlan.
    In: Energies.
    RePEc:gam:jeners:v:13:y:2020:i:5:p:1154-:d:328131.

    Full description at Econpapers || Download paper

  4. Enterprise Resource Planning and Firm Value: Case of Oil and Gas Firm in Indonesian Stock Exchange. (2020). Putra, Adhitya Agri ; Emrinaldi, D P.
    In: International Journal of Energy Economics and Policy.
    RePEc:eco:journ2:2020-06-24.

    Full description at Econpapers || Download paper

  5. Causal Nexus between the Anamolies in the Crude Oil Price and Stock Market. (2020). Sarea, Adel M ; Lokesha, Lokesha ; Rajesha, T M ; Hawaldar, Iqbal Thonse.
    In: International Journal of Energy Economics and Policy.
    RePEc:eco:journ2:2020-03-29.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Aloui., R.,Aïssa, B.S.M., Nguyen, K.D. (2013), Conditional dependence structure between oil prices and exchange rates: A copula-GARCH approach. Journal of International Money and Finance, 32, 719-738.

  2. Berk, I.,Aydogan, B. (2012), Crude Oil Price Shocks and Stock Returns: Evidence from Turkish Stock Market under Global Liquidity Conditions, EWI Working Paper, No 12/15, Institute of Energy Economics at the University of Cologne (EWI).

  3. Blose, E.L., Shieh, P.C.J. (1995), The impact of gold price on the value of gold mining stock. Review of Financial Economics, 4(2), 125-139.

  4. Bollerslev, T. (1986), Generalized autoregressive conditional Heteroscedasticity. Journal of Econometrics, 31, 307-327.

  5. Brooks, C. (2008), Introductory Econometrics for Finance. 2nd ed.

  6. Cambridge: Cambridge University Press, Cappiello, L., Engle, S.K. (2006), Asymmetric dynamics in the correlations of global equity and bond returns. Journal of Financial Econometrics, 4(4), 537-572.

  7. Chen, S.S., Chen, H.C. (2007), Oil prices and real exchange rates. Energy Economics, 29(3), 390-404.

  8. Chen, X., Ghysels, E. (2010), News-good or Bad-and its Impact on Volatility Predictions Over Multiple Horizons. The Society for Financial Studies. Oxford University Press.
    Paper not yet in RePEc: Add citation now
  9. Diaz, E.M., Molero, J.C., de Gracia, F.P. (2016), Oil price volatility and stock returns in the G7economies. Energy Economics, 54, 417-430.

  10. Enders, W. (2004), Applied Econometric Time Series. 2nd ed. New York: Wiley.
    Paper not yet in RePEc: Add citation now
  11. Engle, R. (1982), Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50, 987-1007.

  12. Engle, R. (2001), GARCH 101: The Use of ARCH/GARCH models in applied econometrics. Journal of Economic Perspectives, 15(4), 157-168.

  13. Engle, R., Ng, K.V. (1993), Measuring and testing the impact of news on volatility. The Journal of Finance, 48(5), 1749-1778.

  14. Federer, J.P. (1996), Oil price volatility and the macroeconomy. Journal of Macroeconomics, 18, 1-26.
    Paper not yet in RePEc: Add citation now
  15. Golub, S.S. (1983), Oil prices and exchange rates. The Economic Journal, 93, 576-593.

  16. Hamilton, J.D. (1985), Historical causes of postwar oil shocks and recessions. Energy Journal, 6, 97-116.

  17. Hamilton, J.D. (1988a), A neoclassical model of unemployment and the business cycle. Journal of Political Enonomy, 96, 593-617.

  18. Hamilton, J.D. (1988b), Are the Macroeconomic Effect of Oil Price Changes Symmetric? A Comment, Carnegie-Rochester Conference Series on Public Policy, 28, 369-378.
    Paper not yet in RePEc: Add citation now
  19. Hamilton, J.D. (1996), This is what happened to the oil pricemacroeconomy relationship. Journal of Monetary Economics, 38, 215-220.

  20. Jorion, P. (1990), The exchange rate exposure of US multinationals. Journal of Business, 63, 331-341.

  21. Kang, W., Ratti, A.R., Yoon, H.K. (2015), The impact of oil price shocks on the stock market return and volatility relationship. Journal of International Financial Markets, Institutions and Money, 34, 41-54.

  22. Krugman, P. (1983), Oil shocks and exchange rate dynamics. In: NBER Book Exchange Rates and International Macroeconomics. Chicago: University of Chicago Press. pp259-284.

  23. Lee, K., Shawn, N., Ratti, R. (1995), Oil shocks and the macroeconomy, the role of price variability. Energy Journal, 16, 39-56.

  24. Lizardo, R.A., Mollick, A. (2010), Oil price fluctuations and U.S. dollar exchange rates. Energy Economics, 32, 399-408.

  25. Narayan, P., Narayan, S. (2007), Modelling oil price volatility. Energy Policy, 35, 6549-6553.

  26. Narayan, P.K., Narayan, S., Prasad, A. (2008), Understanding the oil price-exchange rate nexus for the Fiji Islands. Energy Economics, 30, 2686-2696.

  27. Nelson, B.D. (1991), Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347-370.

  28. Salisu,A.A., Fasanya, O.I. (2012), Comparative performance of volatility models for oil price. International Journal of Energy Economics and Policy, 2(3), 167-183.

  29. Strong, J. (1991), Using oil share portfolios to hedge oil price risk. The Quarterly Review of Economics Business, 31, 48-63.
    Paper not yet in RePEc: Add citation now
  30. Takaishi, T. (2017), Rational GARCH model:An empirical test for stock returns. Physica A, 473, 451-460.

  31. Ulusoy and Özdurak: The Impact of Oil Price Volatility to Oil and Gas Company Stock Returns and Emerging Economies International Journal of Energy Economics and Policy | Vol 8 • Issue 1 • 2018 155 APPENDICES
    Paper not yet in RePEc: Add citation now
  32. Wang, Y., Wu, C., Yang, L. (2013), Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries.

Cocites

Documents in RePEc which have cited the same bibliography

  1. The relationship between oil prices and exchange rates in South Africa. (2022). Hlongwane, Nyiko Worship.
    In: MPRA Paper.
    RePEc:pra:mprapa:113209.

    Full description at Econpapers || Download paper

  2. Oil price and exchange rate co-movements in Asian countries: Detrended cross-correlation approach. (2017). Bashir, Usman ; Zebende, Gilney Figueira ; Donghong, Ding ; Hussain, Muntazir.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:465:y:2017:i:c:p:338-346.

    Full description at Econpapers || Download paper

  3. The impact of crude oil prices on financial market indicators: copula approach. (2017). KÜÇÜKÖZMEN, CUMHUR ; Selcuk-Kestel, Sevtap A ; Kuukozmen, Cokun C ; Kayalar, Derya Ezgi .
    In: Energy Economics.
    RePEc:eee:eneeco:v:61:y:2017:i:c:p:162-173.

    Full description at Econpapers || Download paper

  4. Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios. (2017). Nguyen, Duc Khuong ; Berger, Theo ; Hernandez, Jose Arreola.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:259:y:2017:i:3:p:1121-1131.

    Full description at Econpapers || Download paper

  5. Symposium Editorial: Recent issues in the analysis of energy prices. (2016). Sévi, Benoît ; Nguyen, Duc Khuong ; Sevi, Benoit.
    In: European Journal of Comparative Economics.
    RePEc:liu:liucej:v:13:y:2016:i:1:p:63-65.

    Full description at Econpapers || Download paper

  6. Asymmetrical long-run dependence between oil price and US dollar exchange rate—Based on structural oil shocks. (2016). Gu, Rongbao ; Jiang, Jiaqi .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:456:y:2016:i:c:p:75-89.

    Full description at Econpapers || Download paper

  7. Multiscale dependence analysis and portfolio risk modeling for precious metal markets. (2016). Liu, Youjin ; Yu, Lean ; Lai, Kin Keung ; He, Kaijian.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:50:y:2016:i:c:p:224-233.

    Full description at Econpapers || Download paper

  8. On the time scale behavior of equity-commodity links: Implications for portfolio management. (2016). Uddin, Gazi ; Nguyen, Duc Khuong ; Bekiros, Stelios ; Sjo, BO.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:41:y:2016:i:c:p:30-46.

    Full description at Econpapers || Download paper

  9. Oil price shocks and exchange rate movements. (2016). Volkov, Nikanor I ; Yuhn, Ky-Hyang .
    In: Global Finance Journal.
    RePEc:eee:glofin:v:31:y:2016:i:c:p:18-30.

    Full description at Econpapers || Download paper

  10. Conditional dependence of US and EU sovereign CDS: A time-varying copula-based estimation. (2016). Bradford, Marc ; Lahiani, Amine ; Elmarzougui, Abdelaziz .
    In: Finance Research Letters.
    RePEc:eee:finlet:v:19:y:2016:i:c:p:42-53.

    Full description at Econpapers || Download paper

  11. Oil market modelling: A comparative analysis of fundamental and latent factor approaches. (2016). Kearney, Fearghal ; Cummins, Mark ; Dowling, Michael.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:46:y:2016:i:c:p:211-218.

    Full description at Econpapers || Download paper

  12. Oil price shocks and U.S. dollar exchange rates. (2016). Chen, Hongtao ; Zhu, Yingming ; Wang, Yudong ; Liu, LI.
    In: Energy.
    RePEc:eee:energy:v:112:y:2016:i:c:p:1036-1048.

    Full description at Econpapers || Download paper

  13. Oil prices and global factor macroeconomic variables. (2016). Vespignani, Joaquin ; Ratti, Ronald.
    In: Energy Economics.
    RePEc:eee:eneeco:v:59:y:2016:i:c:p:198-212.

    Full description at Econpapers || Download paper

  14. Uncertainty and crude oil returns. (2016). Miller, Stephen ; GUPTA, RANGAN ; Aloui, Riadh.
    In: Energy Economics.
    RePEc:eee:eneeco:v:55:y:2016:i:c:p:92-100.

    Full description at Econpapers || Download paper

  15. Relationship between oil, stock prices and exchange rates: A vine copula based GARCH method. (2016). BEN AISSA, Mohamed ; Aloui, Riadh .
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:37:y:2016:i:c:p:458-471.

    Full description at Econpapers || Download paper

  16. How is Chinas coke price related with the world oil price? The role of extreme movements. (2016). Wu, Yanrui ; Guo, Yanfeng ; Wen, Xiaoqian.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:58:y:2016:i:c:p:22-33.

    Full description at Econpapers || Download paper

  17. On the risk comovements between the crude oil market and U.S. dollar exchange rates. (2016). Keddad, Benjamin ; DE TRUCHIS, Gilles.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:52:y:2016:i:pa:p:206-215.

    Full description at Econpapers || Download paper

  18. In Search of Hedges and Safe Havens in Global Financial Markets. (2016). Wanat, Stanisław ; Papież, Monika ; Śmiech, Sławomir.
    In: Statistics in Transition new series.
    RePEc:csb:stintr:v:17:y:2016:i:3:p:557-574.

    Full description at Econpapers || Download paper

  19. Uncertainty and crude oil returns. (2015). Miller, Stephen ; GUPTA, RANGAN ; Aloui, Riadh.
    In: Working papers.
    RePEc:uct:uconnp:2015-03.

    Full description at Econpapers || Download paper

  20. Oil prices and global factor macroeconomic variables. (2015). Vespignani, Joaquin ; Ratti, Ronald.
    In: Working Papers.
    RePEc:tas:wpaper:22665.

    Full description at Econpapers || Download paper

  21. Energy Markets and CO2 Emissions: Analysis by Stochastic Copula Autoregressive Model. (2015). Marimoutou, Velayoudom ; Soury, Manel .
    In: Working Papers.
    RePEc:hal:wpaper:halshs-01148746.

    Full description at Econpapers || Download paper

  22. Dependence and risk assessment for oil prices and exchange rate portfolios: A wavelet based approach. (2015). JAMMAZI, RANIA ; Aloui, Chaker.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:436:y:2015:i:c:p:62-86.

    Full description at Econpapers || Download paper

  23. A wavelet-based nonlinear ARDL model for assessing the exchange rate pass-through to crude oil prices. (2015). Nguyen, Duc Khuong ; Lahiani, Amine ; JAMMAZI, RANIA.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:34:y:2015:i:c:p:173-187.

    Full description at Econpapers || Download paper

  24. Revisiting the asymmetric dynamic dependence of stock returns: Evidence from a quantile autoregression model. (2015). Zeng, Zhaofa ; Zhu, Hui-Ming ; Li, ZhaoLai ; You, Wanhai.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:40:y:2015:i:c:p:142-153.

    Full description at Econpapers || Download paper

  25. Energy prices and agricultural commodity prices: Testing correlation using copulas method. (2015). Mishra, Ashok ; Koirala, Krishna H. ; Mehlhorn, Joey E. ; D'Antoni, Jeremy M..
    In: Energy.
    RePEc:eee:energy:v:81:y:2015:i:c:p:430-436.

    Full description at Econpapers || Download paper

  26. Structural breaks, dynamic correlations, asymmetric volatility transmission, and hedging strategies for petroleum prices and USD exchange rate. (2015). Yoon, Seong-Min ; Mensi, walid ; Hammoudeh, Shawkat.
    In: Energy Economics.
    RePEc:eee:eneeco:v:48:y:2015:i:c:p:46-60.

    Full description at Econpapers || Download paper

  27. Modeling dependence structures among international stock markets: Evidence from hierarchical Archimedean copulas. (2015). Yang, Lu ; Hamori, Shigeyuki ; Li, Mengling ; Cai, Xiaojing.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:51:y:2015:i:c:p:308-314.

    Full description at Econpapers || Download paper

  28. Energy Markets and CO2 Emissions: Analysis by Stochastic Copula Autoregressive Model. (2015). Soury, Manel ; Marimoutou, Velayoudom.
    In: AMSE Working Papers.
    RePEc:aim:wpaimx:1520.

    Full description at Econpapers || Download paper

  29. The conditional dependence structure between precious metals: a copula-GARCH approach. (2014). Wanat, Stanisław ; Śmiech, Sławomir ; Papie, Monika.
    In: MPRA Paper.
    RePEc:pra:mprapa:56664.

    Full description at Econpapers || Download paper

  30. Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management. (2014). Nguyen, Duc Khuong ; BEN AISSA, Mohamed ; Hammoudeh, Shawkat ; Aloui, Riadh .
    In: Working Papers.
    RePEc:ipg:wpaper:2014-590.

    Full description at Econpapers || Download paper

  31. Ce que nous devons à James Mead (1907-1995). (2014). , FredericTeulon ; Teulon, Frederic.
    In: Working Papers.
    RePEc:ipg:wpaper:2014-574.

    Full description at Econpapers || Download paper

  32. Paul Krugman et la nouvelle économie internationale. (2014). .
    In: Working Papers.
    RePEc:ipg:wpaper:2014-550.

    Full description at Econpapers || Download paper

  33. Gauging the nonstationarity and asymmetries in the oil-stock price links: a multivariate analysis. (2014). GUESMI, Khaled ; Boubaker, Heni.
    In: Working Papers.
    RePEc:ipg:wpaper:2014-442.

    Full description at Econpapers || Download paper

  34. Modelling the Real Exchange Rate: A new Sequential Approach. (2014). Chaouachi, Slim .
    In: Working Papers.
    RePEc:ipg:wpaper:2014-390.

    Full description at Econpapers || Download paper

  35. On the risk comovements between the crude oil market and the U.S. dollar exchange rates. (2014). Keddad, Benjamin ; DE TRUCHIS, Gilles.
    In: Working Papers.
    RePEc:ipg:wpaper:2014-383.

    Full description at Econpapers || Download paper

  36. On the Risk Comovements between the Crude Oil Market and the U.S. Dollar Exchange Rates. (2014). Keddad, Benjamin ; DE TRUCHIS, Gilles.
    In: Working Papers.
    RePEc:hal:wpaper:halshs-00999225.

    Full description at Econpapers || Download paper

  37. The Impact of Oil Price Fluctuations on the Sudanese Stock Market Performance. (2014). Zakaria, Suliman .
    In: Working Papers.
    RePEc:erg:wpaper:887.

    Full description at Econpapers || Download paper

  38. Structural Breaks, Dynamic Correlations, Volatility Transmission, and Hedging Strategies for International Petroleum Prices and U.S. Dollar Exchange Rate. (2014). Yoon, Seong-Min ; Mensi, walid ; Hammoude, Shawkat .
    In: Working Papers.
    RePEc:erg:wpaper:884.

    Full description at Econpapers || Download paper

  39. Modelling dynamic dependence between crude oil prices and Asia-Pacific stock market returns. (2014). Zhu, Hui-Ming ; Li, Sufang .
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:29:y:2014:i:c:p:208-223.

    Full description at Econpapers || Download paper

  40. A comparative analysis of the dynamic relationship between oil prices and exchange rates. (2014). Turhan, Ibrahim ; Sensoy, Ahmet ; Hacihasanoglu, Erk ; Åžensoy, Ahmet.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:32:y:2014:i:c:p:397-414.

    Full description at Econpapers || Download paper

  41. Dependence structure between CEEC-3 and German government securities markets. (2014). Yang, Lu ; Hamori, Shigeyuki.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:29:y:2014:i:c:p:109-125.

    Full description at Econpapers || Download paper

  42. Crude oil prices and exchange rates: Causality, variance decomposition and impulse response. (2014). Sissoko, Yaya ; Huang, Jui-Chi ; Brahmasrene, Tantatape.
    In: Energy Economics.
    RePEc:eee:eneeco:v:44:y:2014:i:c:p:407-412.

    Full description at Econpapers || Download paper

  43. Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management. (2014). Nguyen, Duc Khuong ; BEN AISSA, Mohamed ; Hammoudeh, Shawkat ; Aloui, Riadh.
    In: Energy Economics.
    RePEc:eee:eneeco:v:42:y:2014:i:c:p:332-342.

    Full description at Econpapers || Download paper

  44. The conditional dependence structure of insurance sector credit default swap indices. (2014). Tamakoshi, Go ; Hamori, Shigeyuki.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:30:y:2014:i:c:p:122-132.

    Full description at Econpapers || Download paper

  45. The symmetrical and positive relationship between crude oil and nominal exchange rate returns. (2014). Chang, Kuang-Liang.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:29:y:2014:i:c:p:266-284.

    Full description at Econpapers || Download paper

  46. Speculative and hedging interaction model in oil and U.S. dollar markets with financial transaction taxes. (2014). Carfì, David ; Carfi, David ; Musolino, Francesco.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:37:y:2014:i:c:p:306-319.

    Full description at Econpapers || Download paper

  47. Estimation of risk measures in energy portfolios using modern copula techniques. (2014). Jaschke, Stefan .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:76:y:2014:i:c:p:359-376.

    Full description at Econpapers || Download paper

  48. On the Risk Comovements between the Crude Oil Market and the U.S. Dollar Exchange Rates. (2014). Keddad, Benjamin ; DE TRUCHIS, Gilles.
    In: AMSE Working Papers.
    RePEc:aim:wpaimx:1421.

    Full description at Econpapers || Download paper

  49. The extreme value in crude oil and US dollar markets. (2013). Wu, Chih-Chiang ; Chen, Wei-Peng ; Choudhry, Taufiq.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:36:y:2013:i:c:p:191-210.

    Full description at Econpapers || Download paper

  50. A time-varying copula approach to oil and stock market dependence: The case of transition economies. (2013). Nguyen, Duc Khuong ; Hammoudeh, Shawkat ; Aloui, Riadh.
    In: Energy Economics.
    RePEc:eee:eneeco:v:39:y:2013:i:c:p:208-221.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-24 12:44:44 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.